Options and Market Expectations: Implied Probability Density Functions on the Polish Foreign Exchange Market

• Autorzy: Piotr Bańbuła

Warianty tytułu

Opcje a oczekiwania rynku: estymacja i wykorzystanie implikowanych funkcji gęstości prawdopodobieństwa na polskim rynku walutowym

• Języki publikacji: EN

Abstrakty

EN

An overview of methods used for estimation of option-implied risk-neutral probability density functions (PDFs) is presented in the study, and one of such methods, double lognormal approach, is used for the analysis of the information content of the EUR/PLN currency options on the Polish market. Estimated PDFs have proven to provide superior information concerning future volatility than historical volatility, yet their forecasting power is comparable to that of the Black- Scholes model. There are no strong grounds for using PDFs as a predictor of the future EUR/PLN exchange rate. Low informative content does not directly follow, as PDFs can be used as an indicator of markets conditions. The issues that could be addressed more thoroughly in the future studies concern the assumption of risk neutrality and the impact of the estimation method on the higher moments of the distribution. (original abstract)

W artykule dokonano przeglądu metod estymacji funkcji gęstości prawdopodobieństwa (PDF) instrumentu bazowego na podstawie cen opcji przy założeniu neutralności wobec ryzyka. W analizie rynku EUR/PLN zastosowano metodę dwóch rozkładów logarytmicznonormalnych. Okazało się, że oszacowane PDF dostarczają więcej informacji o przyszłej zmienności niż zmienność historyczna, jednak ich zawartość informacyjna była bardzo zbliżona do oferowanej przez model Blacka-Scholesa. Brak jest silnych podstaw do użycia kontraktów opcyjnych jako instrumentu prognozującego przyszłe poziomy kursu EUR/PLN. Nie jest to jednak tożsame z niską zawartością informacyjną PDF, które mogą być użyte jako wskaźnik sytuacji na rynku. Elementy, które zasługują na pogłębioną analizę, to założenie o neutralności wobec ryzyka oraz wpływ metody estymacji na wyższe momenty implikowanych rozkładów prawdopodobieństwa. (abstrakt oryginalny)

Słowa kluczowe

EN

Exchange rates; Foreign Exchange (FX); Options; Prices; Estimation

PL

Kurs walutowy; Rynek walutowy; Opcje; Ceny; Estymacja

• Czasopismo: Bank i Kredyt
• Rocznik: 2008
• Numer: nr 5
• Strony: 21--35

Twórcy

autor

Piotr Bańbuła

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